stochastic |

Stochastic solution options for models.

stochastic sets options for stochastic model solution but does not solve the model.

Syntax

model_name.stochastic(options)

Options

Note that these options have no effect on the current solve if deterministic solution has been selected.

i=arg (default=“n”) | Innovation generation: “n” (normal random number) or “b” (bootstrap). |

d=arg (default=“f”) | Diagonal covariance matrix (for bootstrap: draw resids independently for each equation): “t” (true), “f” (false). |

v=arg (default=“t”) | Scale covariance matrix to equation specified innovation variances: “t” (true), “f” (false). Does not apply to Bootstrap. |

m=pos_number (default=1.0) | Multiply resid covariance or bootstrap by the positive number pos_number. |

s=quoted_sample | Covariance estimation sample (Bootstrap residual draw sample). For example, s =“1970.1 2003.4” |

r=integer (default=1000) | Number of stochastic repetitions. |

k | Calculate confidence interval from entire sample. |

f=number (default=.02) | Fraction of failed repetitions before stopping. |

b=number (default=.95) | Size of stochastic confidence intervals. |

c=arg (default=“f”) | Include coefficient uncertainty: “t” (true), “f” (false). |

p=page_name | Page name for a new workfile page to save the results of all repetitions of the stochastic solve. If blank (default) only summaries (mean, sd, etc.) of the repetitions are maintained. |

Cross-references

See
“Models” for a discussion of models. See
Model::innov to set options on individual series in stochastic solution.